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\name{plot-ellipses}
\alias{covEllipsesPlot}
\title{Displays a Covariance Ellipses Plot}
\description{
Displays a covariance ellipses plot.
}
\usage{
covEllipsesPlot(x = list(), \dots)
}
\arguments{
\item{x}{
a list of at least two covariance matrices.
}
\item{\dots}{
optional arguments to be passed.\cr
}
}
\details{
This plot visualizes the difference between two or more covariance matrices.
It is meant to compare different methods of covariance estimation.
}
\references{
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009);
\emph{Portfolio Optimization with R/Rmetrics},
Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
}
\examples{
## LPP -
# Load Swiss Pension Fund Data:
LPP <- LPP2005REC[, 1:6]
head(LPP)
## assetsMeanCov -
# Compute Robust Covariance Matrix: assetsMeanCov -
Cov <- cov(LPP)
robustCov <- assetsMeanCov(LPP, "MCD")$Sigma
## covEllipsesPlot -
# Create Covariance Ellipse Plot:
covEllipsesPlot(list(Cov, robustCov))
}
\keyword{models}
|
